We study finite-horizon budget allocation as a closed-loop economic control problem and evaluate receding-horizon Model Predictive Control (MPC) relative to reactive budgeting policies. Budgets are allocated periodically under execution noise and operational constraints, while return efficiency may evolve over time. Using a controlled simulation framework motivated by digital marketing, we compare reactive pacing to MPC across environments with increasing degrees of non-stationarity. Our results show that non-stationarity alone does not justify predictive control. When return dynamics are stationary or evolve through unpredictable stochastic drift, MPC offers no systematic advantage over reactive baselines. By contrast, when return efficiency exhibits predictable structure over the planning horizon, that is captured through an underlying model, MPC consistently outperforms reactive budgeting by exploiting intertemporal trade-offs.
We study budget pacing in repeated first-price auctions when an advertiser's private-value distributions change over time and the stationary competing-bid distribution is unknown. We ask how a feasible expenditure plan should enter online bid shading, learning, and hard budget control. We establish a plan-to-performance decomposition for a plan-driven projected-dual policy. The policy uses any feasible expenditure plan as a soft target, learns an unknown stationary competing-bid CDF from thresholds revealed after each auction, and enforces the campaign budget on every sample path. Against a distribution-informed expected-budget fluid benchmark, the uniform-plan reward gap is O(T)+O(WT), where WT measures heterogeneity in private-value distributions. With a supplied feasible plan, the global gap decomposes into a one-sided O(T) fixed-plan execution term and a plan-mismatch term bounded by (b/2a)PlanError. The same analysis provides guarantees for strict and relaxed period-cap comparators, exact recovery of the global benchmark under a specific allowance vector, and separate lower bounds establishing the necessity of the temporal-heterogeneity and Plan Error terms. An upstream planner can translate forecasts or managerial priorities into a feasible spending trajectory, while the online controller adapts bids using realized thresholds and expenditures. The guarantee is modular: it evaluates the final normalized or projected plan through PlanError. A specific forecasting model can be linked to the guarantee by establishing how its primitive estimation errors propagate to this plan-quality metric.
This work highlights the duality between state estimation and model predictive control. A model predictive controller, observed control, is presented that uses this duality to efficiently compute control actions with linear prediction horizon length scalability. The proposed algorithms provide exceptional computational efficiency, adaptive time horizon lengths, and early optimization termination criteria. The use of Kalman smoothers as the backend optimization framework provides for a familiar implementation supported by strong theoretical guarantees. Additionally, a formulation is presented that separates linear model predictive control into purely reactive and anticipatory components, enabling any-time any-horizon observed control while ensuring controller stability for short time horizons. Finally, the method is extended to nonlinear systems and non-quadratic cost functions to obtain locally-optimal control of complex systems while maintaining linear prediction horizon scalability and adaptive-horizon capabilities.
Classical proportional--integral--derivative (PID) control remains widely used in industrial control systems, while model predictive control (MPC) is actively studied to achieve higher performance for systems with nonlinear dynamics. Model predictive path integral (MPPI) control is a sampling-based MPC method that optimizes control inputs without gradient calculations and can handle non-differentiable models and objective functions. However, conventional MPPI directly samples control-input sequences, which can produce large temporal input increments and causes the optimization dimension to grow with the prediction horizon. This study proposes MPPI--PID control, which uses MPPI to optimize PID gains online instead of directly optimizing the control-input sequences. By replacing high-dimensional input-sequence optimization with low-dimensional gain-space optimization while retaining the PID structure, the proposed formulation improves sampling efficiency and promotes smoother control inputs. Theoretical analyses are provided for a unified path-integral update, the relation between optimization dimension and effective sample size, and the temporal correlation of input perturbations induced by the PID structure. The method is evaluated on a learning-based path following of a mini forklift using a residual-learning dynamics model that combines a physical model and a neural network identified from real-machine driving data. Numerical results show that MPPI--PID improves tracking performance over fixed-gain PID, yields smaller input increments than conventional MPPI, and maintains favorable performance under reduced sampling budgets.